Why do I have problems with unwrapping and AO baking?
Two questions here : 

Concerning the UV map it is normal that you obtain "pieces all over the place" when you choose to unwrap with "smart uv project". Some simple explanation are given in this answer : How to UV unwrap complex models?

For the ambient occlusion, it is also normal that AO checked here in your tutorial 
makes your shadows lowered or inexistant.

AO will illuminate the environment and make so cavities are darker but also the parts most exposed to the environment lighter. Think about it as if the environment light was stronger than your lamp light.

As Second Life shading works differently from Blender shading, I suggest that you mix your textures (shadow, AO and diffuse) in an image editor tool (like Gimp or equivalent) and import the combined result directly to SL as a diffuse texture.